On the Stationary Marginal Distributions of Subclasses of Multivariate Setar Processes of Order One

DOI10.1111/jtsa.12514zbMath1446.62241OpenAlexW2996716965WikidataQ126590489 ScholiaQ126590489MaRDI QIDQ5111853

Marc G. Genton, Soumya Das

Publication date: 27 May 2020

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10754/660926

zbMATH Keywords

multivariate skew-normal distributionnonlinear autoregressive modelnonlinear time seriesstationary marginal distributions

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Stationary stochastic processes (60G10) General nonlinear regression (62J02)

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The marginal distribution function of threshold-type processes with central symmetric innovations

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